CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.0032	1.08
β GARCH Volatility persistence	0.8026	32.88***
γ leverage Additional response to negative shocks	0.1399	16.98***
λ₁ tau intercept Baseline long-term coefficient	2.6211	0.02
λ₂ forecast adj. Forecast performance sensitivity	0.1762	0.02
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Unipol Assicurazioni SpA MF2-GARCH Volatility Analysis

Date Range:

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